March 22, 2018

BCBS published answers to the second set of frequently asked questions (FAQ) on the Basel III standard for standardized approach for measuring counterparty credit risk exposures (SA-CCR). This publication updates the first set of FAQ, which was published in August 2015.

The questions and answers are grouped into sections pertaining to the general formula, the potential future exposure (PFE) add-on, and treatments for specific derivatives. The BCBS standard on SA-CCR was published in March 2014. BCBS periodically reviews FAQs on its standards and publishes answers to these, along with a technical elaboration of the rules text and interpretative guidance, where necessary. These aim to promote consistent global implementation of Basel III, by providing clarifications and interpretative guidance on the BCBS standards.

 

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Keywords: International, Banking, Basel III, FAQ, Credit Risk, SA-CCR, BCBS

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